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Anais Dotis-Georgiou, DevRel, InfluxData
When Holt-Winters is Better
© InfluxData. All rights reserved.
About Me
○ Anais Jackie Dotis on LinkedIn
○ @art.anaisdg
Developer Advocate, InfluxData
© InfluxData. All rights reserved.
M3 Competition
Statistical and Machine Learning forecasting
methods: Concerns and ways forward”
Spyros Makridakis, Evangelos Spiliotis, Vassilios Assimakopoulos
© InfluxData. All rights reserved.
M4 Competition
© InfluxData. All rights reserved.
Hybrid Methods Win
“Slawek Smyl, a data scientist at Uber Technologies, which mixes ES
formulas with a recurrent neural network (RNN) forecasting engine. Smyl
clarifies that his method does not constitute a simple ensemble of
exponential smoothing and neural networks .Instead, the models are truly
hybrid algorithms in which all parameters, like the initial ES seasonality and
smoothing coefficients, are fitted concurrently with the RNN weights by the
same gradient descent method. The improvement of this method over that
of Comb was close to an impressive %”
-TheM Competition: , timeseriesand forecasting
Methods. International Journal of Forecasting.
© InfluxData. All rights reserved.
Naive Method
where
© InfluxData. All rights reserved.
Single Exponential Smoothing
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Component Form
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Linear Regression
Overview of Optimization for Single Exponential
Smoothing
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Optimization of RSS for Linear Regression
© InfluxData. All rights reserved.
© InfluxData. All rights reserved.
© InfluxData. All rights reserved.
© InfluxData. All rights reserved.
© InfluxData. All rights reserved.
© InfluxData. All rights reserved.
© InfluxData. All rights reserved.
Holt-Winters’s Multiplicative
SES (For Reference)
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RSS vs RMSE
Numerical Method
Nedler-Mead Method
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Numerical Method Ex: LU Decomposition(An
Aside)
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Nedler-Mead
© InfluxData. All rights reserved.
HOLT_WINTERS() and Influx
© InfluxData. All rights reserved.
HOLT_WINTERS() and Influx
© InfluxData. All rights reserved.
HOLT_WINTERS() and Influx
© InfluxData. All rights reserved.
HOLT_WINTERS() and Influx
© InfluxData. All rights reserved.
HOLT_WINTERS() and Influx
© InfluxData. All rights reserved.
holtWinters() in Flux
from(bucket: "NOAA_water_database")
|> range(start: - y)
|> filter(fn: (r) => r._field == "water_level")
|> aggregateWindow(every: m, fn: first).
|> holtWinters(n: , seasonality: , interval: m)
Assuming no offset
●
● HW Blog:
https://www.influxdata.com/blog/when-you
-want-holt-winters-instead-of-machine-lear
ning/
● Autocorrelation:
https://www.influxdata.com/blog/autocorrel
ation-in-time-series-data/
● Pitfalls of LSTM for univariate TS:
https://towardsdatascience.com/how-not-to
-use-machine-learning-for-time-series-forec
asting-avoiding-the-pitfalls-19f9d7adf424
● anais@influxdata.com
● Community Page
○ community.influxdata.com
● Community Slack
Thank You!!
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Moving Average
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Quartile Range
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Contextual Anomaly
© InfluxData. All rights reserved.© InfluxData. All rights reserved.
Collective Anomaly

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When Holt-Winters is Better Than ML | Anais Dotis-Georgiou | InfluxData